Cboe Global Markets

Complex Order Handling

Cboe Hybrid's Complex Order Book (COB) and Complex Order Auction (COA), available in all classes, provide enhanced automatic execution possibilities for complex orders, while continuing to provide potential for price improvement.

Complex Order Book (COB)

Currently, eligible complex orders having up to twelve (12) legs and having a ratio of one-to three or higher or three-to-one or lower may be executed automatically and/or booked in the COB. Once introduced in the COB, the resting order will automatically execute if:

  • The quotes or orders for the individual legs line up to make the resting order marketable (In SPX the resting order will COA first if it becomes marketable); or
  • An opposing order enters the COB that touches the resting order.

Complex Order Auction (COA)

COA further automates the order handling and execution process for eligible marketable complex orders having up to twelve (12) legs and having a ratio of one-to three or higher or three-to-one or lower, while continuing to provide the potential for price improvement through an automated auction process. Note that only customer orders are eligible for COA. When COA is enabled:

  • Eligible marketable (tradable at the current derived spread price) and near-marketable (tradable inside the current derived spread price) will initiate a 100 millisecond electronic auction for price improvement.
  • At the expiration of the auction period, the order will either trade at an improved price, the current price or book to the COB.
  • If booked, the order will electronically execute if COB conditions are met (see above).
  • Order flow providers may choose to identify their executing firm number, correspondent and/or CMTA on their COA messages.

NSM (National Spread Market)

NBBO (National Best Bid and Offer) markets are used to calculate a National Spread Market (NSM). The NSM and an accompanying Exchange-set “buffer” parameter are used for calculation of an execution price collar, called the NSM+. The NSM or NSM+ value, as applicable, is used as the reference price for spread order protections. Incoming market orders and limit orders with a price outside NSM+ will be eligible to trade only up to NSM+, and any unexecuted remainder that cannot be executed within this price collar will be automatically canceled.

Electronic Paired Order crossing Mechanism for Complex Orders (Complex AIM)

Cboe's Automated Improvement Mechanism (AIM) is a process for electronically executing paired orders of any capacity, which provides potential for price improvement and a participation right through an auction process. By utilizing the AIM paired order mechanism, a submitting TPH broker is afforded the opportunity to participate against its customers' orders or solicit another firm's liquidity as contra to the agency-side order. Each agency-side order may be paired with up to 10 contra orders, and orders up to 12 legs are supported. Note, during regular trading hours (RTH), the maximum order size for AIM eligibility in SPX/SPXW is 10 contracts, which applies to the smallest leg of the order. This size restriction does not apply to any other class, nor does it apply to SPX/SPXW FLEX orders or to SPX/SPXW orders during the global trading hours (GTH) session.

Stock: Option Orders Automation

Complex orders combining stock and options legs may be executed in open outcry or electronically. Eligible stock-option orders for customer capacity are eligible to initiate an electronic auction via COA for the possibility of price improvement. Stock-option orders that do not execute in COA may be booked in the COB. Upon execution, the option leg(s) will print on Cboe and the stock leg(s) will be printed and cleared by a third-party broker.

Functionality Highlights:

  • Up to 12 legs (including one stock leg) are supported. The maximum ratio is 8 option contracts (considering the smallest option leg) to 100 shares. Upon receipt, eligible incoming orders will initiate a 100 millisecond electronic COA auction.
  • The order will be auctioned as a packaged order with one net price; traders will be able to respond to the auction in $.01 increments.
  • Complex AIM functionality is also available for stock:option orders with up to 12 legs.